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Natural Resources as Stock Market Trouble Alarm

Jul 27, 2021

Natural Resources as Stock Market Trouble Alarm

Stock markets shocks are notoriously difficult to predict. In general, periods of high volatility can lead to both large market gains and...

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Storing Map Tiles for Offline Use: HTML to JPG in Jupyter Notebooks

H-Barrio

Jun 15, 2021

Storing Map Tiles for Offline Use: HTML to JPG in Jupyter Notebooks

To finish exploring the possible uses for geographic source data for the obtention of intelligence (covered in this post and this post),...

1,864 views0 comments

H-Barrio

Jun 8, 2021

Mapping GEO Data with Folium

Map generation from geographic data.

2,641 views0 comments

Primary Data Sources: Geographical Data from WFS

H-Barrio

Jun 1, 2021

Primary Data Sources: Geographical Data from WFS

Data is the new oil. Data is the new gold. The mithril of Moria. These phrases are used to emphasize the value of data in the current...

184 views0 comments

H-Barrio

May 4, 2021

Correlation Index at the Top of the SPY

SPY correlation index for the recent past. Can stock movements be predicted by the returns correlation of the most capitalized companies?

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Interlude: Automated UML Model with Python

H-Barrio

Apr 13, 2021

Interlude: Automated UML Model with Python

This is an interlude to our usual topics. This post will be one level inside quantitative model development, one level below using a...

242 views0 comments

CUSUM Event Identification: Not Just for Sampling

H-Barrio

Apr 6, 2021

CUSUM Event Identification: Not Just for Sampling

Cumulative sum filtering is a signal sampling method presented in Marcos Lopez de Prado. 2018. Advances in Financial Machine Learning...

2,161 views0 comments

H-Barrio

Mar 30, 2021

Entropy Based Label Selection

Now we have a tool that will flexibly obtain labels for our hypothetical trading positions, all of them inside a certain space of future...

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DataFrame-Ready Implementation for Triple Barrier Labels

H-Barrio

Mar 23, 2021

DataFrame-Ready Implementation for Triple Barrier Labels

We will continue adapting the methods presented in Marcos Lopez de Prado. 2018. Advances in Financial Machine Learning (1st. ed.). Wiley...

1,741 views0 comments

Stock Price Fractional Differentiation: Best Fraction Finder

H-Barrio

Mar 16, 2021

Stock Price Fractional Differentiation: Best Fraction Finder

This post extends the code for our interpretation of the fractional differentiation calculation methods presented in Marcos Lopez de...

812 views0 comments

A DataFrame-Ready Implementation for Standard Fractional Differentiation

H-Barrio

Mar 9, 2021

A DataFrame-Ready Implementation for Standard Fractional Differentiation

If there is momentum, take advantage of it. Our previous posts on fractional differentiation have surged in visits in the past weeks, so...

254 views0 comments

Tampering with Universes: Correction and Improvement

H-Barrio

Mar 8, 2021

Tampering with Universes: Correction and Improvement

In our previous post regarding a flexible universe selection, we presented a more flexible universe selection model. The results we...

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H-Barrio

Mar 2, 2021

Tampering with the Universes

Now that we have this very flexible universe selection model, we can easily tamper with it and experiment with multiple strategies...

47 views0 comments

H-Barrio

Feb 23, 2021

A Flexible Universe Selection Model

The team at Quantconnect has created some handy tools for their Lean engine; their QC500 universe selection model allows for selecting a...

199 views0 comments

Pattern Recognition in Sector ETFs: Industry Return Predictability - Machine Learning Approach

H-Barrio

Feb 16, 2021

Pattern Recognition in Sector ETFs: Industry Return Predictability - Machine Learning Approach

Our last publication regarding pattern recognition using sectorial ETFs did not yield outstanding results. The dependencies among these...

54 views0 comments

Moving Averages as Resistances and Supports

H-Barrio

Feb 9, 2021

Moving Averages as Resistances and Supports

In this publication, we will walk through the implementation of the idea of using the "historically best" moving average window value as...

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Performance of Moving Average as Price Supports

H-Barrio

Feb 2, 2021

Performance of Moving Average as Price Supports

Moving averages (abbreviated as MA usually) are venerable tools in the field of stock price technical analysis. The diagram that possibly...

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Robust Feedback Control for Bitcoin Holdings

H-Barrio

Jan 26, 2021

Robust Feedback Control for Bitcoin Holdings

Cryptocurrencies have soared in price relative to the US Dollar and Euro in the past few weeks drawing additional attention from general...

52 views0 comments

Why Pairs Trading Might Not Work: Rolling Cointegration Tests

H-Barrio

Jan 19, 2021

Why Pairs Trading Might Not Work: Rolling Cointegration Tests

Pairs trading is the dean, the eldest and better known of modern quantitative trading models. It is the pinnacle of statistical arbitrage...

1,015 views0 comments

Pattern Recognition in Sectorial ETFs: (Highly) Automated Model

H-Barrio

Jan 12, 2021

Pattern Recognition in Sectorial ETFs: (Highly) Automated Model

In our december publications we went over the development of an automated system that could determine which values (factors) had the...

68 views0 comments